Although the properties of the ARCH(∞) model are well investigated, the existence of long memory FIGARCH and IARCH … finite variance FIGARCH and IARCH models and, thus, the possibility of long memory in the ARCH setting was doubtful. The … present paper solves this controversy by showing that FIGARCH and IARCH equations have a non-trivial covariance stationary …

This article assesses the interaction between inflation and inflation uncertainty in a dynamic framework for Turkey by … using monthly data for the time period 1984–2009. The bulk of previous studies investigating the link between inflation and … inflation uncertainty employ Autoregressive Conditional Heteroskedasticity (ARCH)-type models, which consider inflation …

This paper investigates the effect of inflation uncertainty innovations on inflation over time by considering the … monthly United States data for the time period 1976-2006. In order to investigate the effect of inflation uncertainty … innovation on inflation, a Stochastic Volatility in Mean model (SVM) has been employed. SVM models are generally used to capture …

In this paper, we explore machine learning (ML) methods to improve inflation forecasting in Brazil. An extensive out … identify the key variables to predict inflation, thus helping to open the ML black box. Despite the evidence of no universal … of mean-squared error. Moreover, the results indicate the existence of nonlinearities in the inflation dynamics, which …

In this research paper ARCH-type models are applied in order to estimate the Value-at-Risk (VaR) of an inflation …-index futures portfolio for several time-horizons. The empirical analysis is carried out for Mexican inflation-indexed futures … time horizons. These results have implications for short-term inflation forecasts. By estimating confidence intervals in …